The Comparison of RBC and VaR in the Insurance Regulation
碩士 === 國立政治大學 === 風險管理與保險學系 === 89 === Abstract Assuring insurance company solvency has always been the focal point of insurance regulation. Regulators use various methods to promote insurers’ financial strength and protect policyholders from losses due to insolvency. Among these methods,...
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ndltd-TW-089NCCU02180302016-07-06T04:10:43Z http://ndltd.ncl.edu.tw/handle/29509403650426764374 The Comparison of RBC and VaR in the Insurance Regulation 風險基礎資本與涉險值運用在保險監理上之比較 Tzy-Ting Lin 林姿婷 碩士 國立政治大學 風險管理與保險學系 89 Abstract Assuring insurance company solvency has always been the focal point of insurance regulation. Regulators use various methods to promote insurers’ financial strength and protect policyholders from losses due to insolvency. Among these methods, risk-based capital (RBC) is used to measure the insurer’s capital adequacy and provide the relative action rule for the regulator, and the VaR (value-at-risk) regulation is new regulatory type the bank regulator attempt to adopt. Besides the regulatory application, VaR is also used in bank’s risk management system broadly. We can expect the VaR-type regulation will be the new insurance regulation in the future according to the development of bank’s regulation. The methodology of this study adopt is literature review. The most important purpose of this study is to explore the feasibility of VaR-type insurance regulation and compare the VaR regulation with current RBC regulation. Before the regulation system examination, this study firstly discusses the presupposition of the VaR regulation application and the causes of insurer insolvency. For the purpose of developing the VaR-type capital requirement in insurance regulation, this study proposes that market and underwriting risk capital requirement can be directly calculated in VaR; credit and business risk capital requirement should be regulated a fixed-rate capital amount. This study also proposes the application of precommitment approach when the regulator assure the insurer accumulate good experience in VaR. In addition, this study also addresses some points for attention of VaR insurance regulation. The other purpose of this study is to compare the RBC and VaR through the regulatory implementation, solvency measurement, and regulatory cost. The result of this study indicates that VaR is superior to RBC in any aspect, besides the complexity and feasibility. In addition, VaR and RBC both have their own regulatory moral hazard. This study suggests VaR should be used in the insurance regulation as other financial regulation in the future. 蔡政憲 2001 學位論文 ; thesis 88 zh-TW |
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碩士 === 國立政治大學 === 風險管理與保險學系 === 89 === Abstract
Assuring insurance company solvency has always been the focal point of insurance regulation. Regulators use various methods to promote insurers’ financial strength and protect policyholders from losses due to insolvency. Among these methods, risk-based capital (RBC) is used to measure the insurer’s capital adequacy and provide the relative action rule for the regulator, and the VaR (value-at-risk) regulation is new regulatory type the bank regulator attempt to adopt. Besides the regulatory application, VaR is also used in bank’s risk management system broadly. We can expect the VaR-type regulation will be the new insurance regulation in the future according to the development of bank’s regulation.
The methodology of this study adopt is literature review. The most important purpose of this study is to explore the feasibility of VaR-type insurance regulation and compare the VaR regulation with current RBC regulation. Before the regulation system examination, this study firstly discusses the presupposition of the VaR regulation application and the causes of insurer insolvency.
For the purpose of developing the VaR-type capital requirement in insurance regulation, this study proposes that market and underwriting risk capital requirement can be directly calculated in VaR; credit and business risk capital requirement should be regulated a fixed-rate capital amount. This study also proposes the application of precommitment approach when the regulator assure the insurer accumulate good experience in VaR. In addition, this study also addresses some points for attention of VaR insurance regulation.
The other purpose of this study is to compare the RBC and VaR through the regulatory implementation, solvency measurement, and regulatory cost. The result of this study indicates that VaR is superior to RBC in any aspect, besides the complexity and feasibility. In addition, VaR and RBC both have their own regulatory moral hazard. This study suggests VaR should be used in the insurance regulation as other financial regulation in the future.
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author2 |
蔡政憲 |
author_facet |
蔡政憲 Tzy-Ting Lin 林姿婷 |
author |
Tzy-Ting Lin 林姿婷 |
spellingShingle |
Tzy-Ting Lin 林姿婷 The Comparison of RBC and VaR in the Insurance Regulation |
author_sort |
Tzy-Ting Lin |
title |
The Comparison of RBC and VaR in the Insurance Regulation |
title_short |
The Comparison of RBC and VaR in the Insurance Regulation |
title_full |
The Comparison of RBC and VaR in the Insurance Regulation |
title_fullStr |
The Comparison of RBC and VaR in the Insurance Regulation |
title_full_unstemmed |
The Comparison of RBC and VaR in the Insurance Regulation |
title_sort |
comparison of rbc and var in the insurance regulation |
publishDate |
2001 |
url |
http://ndltd.ncl.edu.tw/handle/29509403650426764374 |
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